Study: Sell ITC when near 200 SMA and below 200 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell ITC when near 200 SMA and below 200 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ITC at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-4589.6443202346.513181.868310.11-2966.38-10349.781.070.93-0.0055-106.74
234759.9243232053.496134.3326290.09-5316.48-15217.041.151.330.021808.37
36262.6743232053.494782.5311814.35-5186.78-11883.750.921.060.0048145.64
4-30183.0543222151.164939.8913875.34-6612.41-15601.470.750.78-0.021-701.93
5-41521.7343232053.494912.0113906.31-7724.9-16361.680.640.73-0.026-965.62
6-65258.1943202346.515169.5813333.33-7332.6-16189.450.710.61-0.04-1517.63
7-59247.0143212248.845156.0219889.97-7614.7-19342.210.680.65-0.034-1377.84
8-82914.6143192444.195533.424152.11-7835.38-25487.060.710.56-0.043-1928.25
9-74488.143192444.196354.3720209.06-8134.21-27743.070.780.62-0.037-1732.28
10-76554.1243172639.537331.6822357.53-7738.18-27646.960.950.62-0.036-1780.33
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
200trail22.2733200.5159233638.985721.277681.85-2733.02-3897.012.091.340.027562.72
200trail32.8434291.4458203834.486817.2910833.33-2685.64-3897.012.541.340.025591.23
200nil22.4731942.1455233241.825684.487681.85-3087.53-3919.551.841.320.027580.77
200nil33.198177.2254163829.637902.2310833.33-3112.07-3919.552.541.070.006151.43
atrnil39.33-19040.334293321.4319267.3125798.57-5831.7-10190.643.30.9-0.0086-453.34
atrtrail34.82-16293.34502030405892.6224877.15-4471.52-10190.641.320.88-0.0093-325.87
atrtrail24.42-19245.7750203040574517199.04-4471.52-10190.641.280.86-0.012-384.92
atrtrail-15.04-29583.86502030405228.0917735.03-4471.52-10190.641.170.78-0.019-591.68
atrnil27.6-40967.2642113126.1912683.6817199.04-5822.19-10190.642.180.77-0.024-975.41
200trail-13.64-27840.6456183832.143998.0917419.23-2626.48-3897.011.520.72-0.026-497.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.98%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019403 Jan 2019 (-1.82%), 13 May 2019 (-1.12%), 23 May 2019 (-1.78%), 28 May 2019 (2.96%)
20181005 Jun 2018 (-1.3%), 08 Jun 2018 (-1.09%), 13 Jun 2018 (2.07%), 22 Jun 2018 (-0.56%), 29 Jun 2018 (-1.04%), 05 Oct 2018 (2.73%), 12 Oct 2018 (-1.9%), 01 Nov 2018 (-1.59%), 06 Nov 2018 (-1.22%), 18 Dec 2018 (-1.74%)
2017211 Aug 2017 (-1.22%), 11 Sep 2017 (3.61%)
2016804 Jan 2016 (2.78%), 07 Apr 2016 (-1.95%), 25 Apr 2016 (-1.74%), 28 Apr 2016 (2.38%), 16 Nov 2016 (3.78%), 30 Nov 2016 (-0.57%), 08 Dec 2016 (-1.53%), 14 Dec 2016 (3.77%)
2015521 Jan 2015 (-1.29%), 22 Jan 2015 (-1.87%), 13 Nov 2015 (-1.84%), 21 Dec 2015 (-0.21%), 29 Dec 2015 (-1.56%)
2014104 Jun 2014 (-1.18%)
2013205 Sep 2013 (-1.51%), 19 Nov 2013 (2.87%)
2011102 Feb 2011 (2.86%)
2010126 Feb 2010 (-1.56%)
2006124 Nov 2006 (-1.37%)
2004113 May 2004 (-1.05%)
2003228 Jan 2003 (3.23%), 04 Feb 2003 (2.48%)
2002506 Mar 2002 (-1.24%), 15 Mar 2002 (-1.05%), 18 Mar 2002 (-1.38%), 21 Mar 2002 (2.31%), 01 Apr 2002 (2.76%)
2001320 Feb 2001 (-1.74%), 09 Mar 2001 (3.06%), 11 May 2001 (2.75%)
2000426 Jul 2000 (2.92%), 27 Sep 2000 (3.84%), 06 Oct 2000 (2.75%), 18 Oct 2000 (-1.68%)
1999116 Sep 1999 (2.65%)
1998601 Jul 1998 (2.93%), 28 Jul 1998 (-1.93%), 06 Oct 1998 (-1.58%), 26 Nov 1998 (2.3%), 30 Nov 1998 (-0.36%), 17 Dec 1998 (-1.65%)
1995222 Nov 1995 (2.0%), 23 Nov 1995 (-1.0%)



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